-dimensional environment, is essentially based on the notion of copula and level sets of the multivariate probability distribution. In this …

This paper deals with the problem of estimating the level sets of an unknown distribution function $F$. A plug …-in approach is followed. That is, given a consistent estimator $F_n$ of $F$, we estimate the level sets of $F$ by the level sets … of $F_n$. In our setting no compactness property is a priori required for the level sets to estimate. We state …

particular, we propose kernel distances that rely on the estimation of density level sets of the underlying distribution, and can …

portfolio. The lower-orthant VaR is constructed from level sets of multivariate distribution functions whereas the upper …-orthant VaR is constructed from level sets of multivariate survival functions. Several properties have been derived. In particular …

This paper deals with the problem of estimating the level sets of an unknown distribution function $F$. A plug …-in approach is followed. That is, given a consistent estimator $F_n$ of $F$, we estimate the level sets of $F$ by the level sets … of $F_n$. In our setting no compactness property is a priori required for the level sets to estimate. We state …